| 摘要: |
| 主要讨论了古典风险模型余额首次返回零点前及最后一次返回零点前两种时期内的极小值和极大值的联合分布,并运用模型的强马氏性及平稳性解决了问题. |
| 关键词: 古典风险模型 破产时刻 强马尔可夫性 |
| DOI： |
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| A joint distribution of extreme values for classical risk model |
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WU Hai-yan
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| Abstract: |
| In this paper,we mainly discuss the joint distribution of the infimun profits and deficit before it returns to zero for the first time and the supreme profits and deficit until it returns to zero ultimately.The explicit expressions for this joint distributions are obtained mainly by using the strong Markov and stationary properties of the surplus process. |
| Key words: classical risk model bankruptcy time strong Markov property |
